We examine the effect of the “Proposal for Free Market Expansion of the Electricity Sector” disclosure on Brazil’s short-term stock market prices and volatility. We employ the Difference-in-Differences and the Doubly Robust Difference-in-Differences methodologies to analyze the proposal’s disclosure effect on daily returns and volatility of electricity sector companies listed on the Brazilian stock exchange. Results show a negative effect of the policy on stocks’ average daily returns and volatility.